RollingWindowsEstimator
- class qf_lib.common.utils.factorization.data_models.rolling_window_estimation.RollingWindowsEstimator[source]
Bases:
object
Class for estimating parameters of rolling windows.
Methods:
estimate_rolling_window_size
(container)Estimates the size of the rolling window based on the number of samples.
estimate_rolling_window_step
(container)Estimates the step of the rolling window based on the number of samples.
- classmethod estimate_rolling_window_size(container: Union[QFDataFrame, QFSeries]) int [source]
Estimates the size of the rolling window based on the number of samples.
- Parameters:
container – container with data analysed using rolling window
- Returns:
the calculated size of the rolling window
- Return type:
window_size
- classmethod estimate_rolling_window_step(container: Union[QFDataFrame, QFSeries]) int [source]
Estimates the step of the rolling window based on the number of samples.
- Parameters:
container – container with data analysed using rolling window
- Returns:
the calculated step (shift) of the rolling window
- Return type:
window_step